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1、JournalofInternationalEconomics12(1982)355-362.North-HollandPublishingCompanyTHEDETERMINATIONOFTHEREALEXCHANGERATETheproductivityapproachDavidA.HSIEH*GraduateSchoolofBusiness,UniversityofChicago,Chicago.IL6M37,U.S.A.ReceivedJune1981,revisedversionreceive
2、dJanuary1982Thispaperexplainsdeviationsofexchangeratesfrompurchasingpowerparitywiththedifferencesbetweencountriesoftherelativegrowthratesoflaborproductivitybetweentradedandnontradedsectors.Twocasesareconsidered:GermanyandJapanversustheirrespectivemajortr
3、adingpartners.Theresultsshowthatthetimeseriesmethodologyyieldsamorefavorableconfirmationoftheproductivitydifferentialmodelthanthecrosssectionregressionsintheliterature.1.IntroductionIntheabsenceofmoneyillusion,adoublingofthedomesticmoneystock(holdingever
4、ythingelsefixed)shouldleadtoadoublingofalldomesticprices,includingthatofforeigncurrencies.Butonemustbecarefulwhenapplyingthispropositiontoanalyzemovementsintheexchangerates.Asidefromthedistributionaleffectswhenmoneyisnotintroducedinaneutralmanner,therear
5、ealsoexogenousrealshockswhichmayaffecttheexchangerate.Iftheserealfactorsareasimportantinthedeterminationofexchangeratesasthenominalforces,thenthesocalledmonetaryapproachcanexplainonlypartofthemovementofexchangerates.Thispaperassumesthattheexchangerateadj
6、ustsfullytoallchangesintradedgoodsprices,andtriestoexplaintheresidualvariancebyrealfactors.Itmakesuseoftheconceptoftherealexchangerate,whichisthe(nominal)exchangerateadjustedforpricechangesathomeandabroad.Inotherwords,movementsintherealexchangeratearedev
7、iationsfrompurchasingpowerparity(PPP).Thesedeviationsareexplainedbychangesintherealsectors,primarilythatofthedifferenceingrowthratesoflaborproductivityinthetradedandnontradedsectors.Thisideahasbeensuggestedhymany*Thispaperisanexcerptfrommydissertation.Iw
8、ishtothankRudigerDornbusch,StanleyFischer,andRobertLittermanforencouragementandhelpfulcomments.ResearchsupportfromtheDepartmentofiEconomicsattheMassachusettsInstituteofTechnologyisgratefullyacknowledged.0022-1996/82/oooo-o
